Before you boot the OS, select and prepare the installation target. See:
You can install an OS on any of the optional NVMe storage drives, hard disk drives (HDDs), solid state drives (SSDs), and RAID volumes that are installed in the server and are valid installation targets. See Supported Operating Systems.
For servers equipped with Fibre Channel PCIe host bus adapters (HBAs), you can install the operating system to an external fibre channel storage device.